def get_all_instruments(self):
con_col = self._db.realtime_future_contract_info
prod_col = self._db.realtime_future_product_info
code_list = con_col.distinct('CODE')
inst_list = []
for c in code_list:
con_info = con_col.find_one({'CODE': c},
sort=[('DATE', pmg.DESCENDING)])
prod_info = prod_col.find_one(
{'CLASS_CODE': con_info['CLASS_CODE']},
sort=[('DATE', pmg.DESCENDING)])
inst = {
# 'abbrev_symbol': 'null',
'contract_multiplier': con_info['CON_SIZE'],
'de_listed_date': con_info['DATE_TO'].strftime('%Y-%m-%d'),
'exchange': 'HKEX',
'listed_date': con_info['DATE_FROM'].strftime('%Y-%m-%d'),
'margin_rate': 0.05,
'maturity_date': con_info['EXPIRY_DATE'].strftime('%Y-%m-%d'),
'order_book_id': con_info['CODE'],
'product': 'Index',
'round_lot': 1.0,
'settlement_method': 'CashSettlementRequired',
'symbol': prod_info['PROD_NAME'],
# 'trading_unit': '5',
'type': 'Future',
'underlying_order_book_id': con_info['Filler'],
'underlying_symbol': con_info['CLASS_CODE']
}
inst_list.append(Instrument(inst))
return inst_list
def get_all_instruments(self):
"""
获取所有Instrument。
:return: list[:class:`~Instrument`]
"""
symList = ['SHFE.rb1905']
instmentList = get_instruments(
symbols=symList,
exchanges=None,
sec_types=None,
names=None,
skip_suspended=True,
skip_st=True,
fields=
'symbol,exchange,sec_type,price_tick,listed_date,delisted_date,multiplier,margin_ratio',
df=False)
#给退市日期字段 改个名字，从掘金来的名字 和 rqaplha中的名字不一样。改成rqalpha中的名。
for aInstu in instmentList:
aInstu.update(de_listed_date=aInstu.pop("delisted_date"))
aInstu.update(contract_multiplier=aInstu.pop("multiplier"))
if aInstu['sec_type'] == 4:
del aInstu["sec_type"]
aInstu['type'] = "Future"
instruments = [Instrument(i) for i in instmentList]
return instruments
def __init__(self, path, custom_future_info):
if not os.path.exists(path):
raise RuntimeError('bundle path {} not exist'.format(
os.path.abspath(path)))
def _p(name):
return os.path.join(path, name)
funds_day_bar_store = DayBarStore(_p('funds.h5'))
self._day_bars = {
INSTRUMENT_TYPE.CS: DayBarStore(_p('stocks.h5')),
INSTRUMENT_TYPE.INDX: DayBarStore(_p('indexes.h5')),
INSTRUMENT_TYPE.FUTURE: FutureDayBarStore(_p('futures.h5')),
INSTRUMENT_TYPE.ETF: funds_day_bar_store,
INSTRUMENT_TYPE.LOF: funds_day_bar_store
} # type: Dict[INSTRUMENT_TYPE, AbstractDayBarStore]
self._future_info_store = FutureInfoStore(_p("future_info.json"),
custom_future_info)
self._instruments_stores = {
} # type: Dict[INSTRUMENT_TYPE, AbstractInstrumentStore]
self._ins_id_or_sym_type_map = {} # type: Dict[str, INSTRUMENT_TYPE]
with open(_p('instruments.pk'), 'rb') as f:
instruments = [
Instrument(
i, lambda i: self._future_info_store.get_future_info(i)[
"tick_size"]) for i in pickle.load(f)
]
for ins_type in self.DEFAULT_INS_TYPES:
self.register_instruments_store(
InstrumentStore(instruments, ins_type))
dividend_store = DividendStore(_p('dividends.h5'))
self._dividends = {
INSTRUMENT_TYPE.CS: dividend_store,
INSTRUMENT_TYPE.ETF: dividend_store,
INSTRUMENT_TYPE.LOF: dividend_store,
}
self._calendar_providers = {
TRADING_CALENDAR_TYPE.EXCHANGE:
ExchangeTradingCalendarStore(_p("trading_dates.npy"))
}
self._yield_curve = YieldCurveStore(_p('yield_curve.h5'))
split_store = SimpleFactorStore(_p('split_factor.h5'))
self._split_factors = {
INSTRUMENT_TYPE.CS: split_store,
INSTRUMENT_TYPE.ETF: split_store,
INSTRUMENT_TYPE.LOF: split_store,
}
self._ex_cum_factor = SimpleFactorStore(_p('ex_cum_factor.h5'))
self._share_transformation = ShareTransformationStore(
_p('share_transformation.json'))
self._suspend_days = [DateSet(_p('suspended_days.h5'))
] # type: List[AbstractDateSet]
self._st_stock_days = DateSet(_p('st_stock_days.h5'))
def get_instruments_from_mongo(self):
instruments = []
codes_cursor = self.db[INSTRUMENT_COL].find().sort(
"windCode", pymongo.ASCENDING)
for doc in codes_cursor:
instrument_dict = {
'industry_name': 'UNKNOWN',
'symbol': doc['name'],
'sector_code': 'UNKNOWN',
'special_type': 'Normal',
'industry_code': 'UNKNOWN',
'type': 'CS',
'listed_date': '2014-06-01',
'de_listed_date': '0000-00-00',
'status': 'Active',
'concept_names': 'null',
'abbrev_symbol': 'UNKNOWN',
'round_lot': 100.0,
'board_type': 'UNKNOWN',
'exchange': doc['windCode'].split('.')[1],
'order_book_id': doc['windCode'],
'sector_code_name': 'UNKNOWN'
}
instruments.append(Instrument(instrument_dict))
return instruments
def get_all_instruments(self):
"""
获取所有Instrument。
:return: list[:class:`~Instrument`]
"""
mongo_data = self._instruments["instruments"].find({}, {"_id": 0})
return [Instrument(i) for i in mongo_data]
def __init__(self, f):
with open(f, 'rb') as store:
d = pickle.load(store)
self._instruments = []
for i in d:
ins = Instrument(i)
if ins.type in self.SUPPORTED_TYPES:
self._instruments.append(ins)
def __init__(self, f, future_info_store):
# type: (str, FutureInfoStore) -> None
with open(f, 'rb') as store:
d = pickle.load(store)
self._instruments = []
for i in d:
ins = Instrument(i, future_info_store)
if ins.type in self.SUPPORTED_TYPES:
self._instruments.append(ins)
def mock_instrument(order_book_id="000001",
_type="CS",
exchange="XSHE",
**kwargs):
from rqalpha.model.instrument import Instrument
ins_dict = {
"order_book_id": order_book_id,
"type": _type,
"exchange": exchange,
}
ins_dict.update(kwargs)
return Instrument(ins_dict)
def get_all_instruments(self):
"""
获取所有Instrument。
:return: list[:class:`~Instrument`]
"""
symList = ['SHFE.RB']
instmentList = get_instruments(symbols=symList,
exchanges=None,
sec_types=None,
names=None,
skip_suspended=True,
skip_st=True,
fields=None,
df=False)
#给退市日期字段 改个名字，从掘金来的名字 和 rqaplha中的名字不一样。改成rqalpha中的名。
for aInstu in instmentList:
aInstu.update(de_listed_date=aInstu.pop("delisted_date"))
instruments = [Instrument(i) for i in instmentList]
return instruments
def get_all_instruments(self):
"""
获取所有Instrument。---再封装一层，单独写个cache
:return: list[:class:`~Instrument`]
"""
if IsFutuMarket_HKStock() is True:
if self._cache['basicinfo_hk'] is None:
ret_code, ret_data = self._get_hk_cache()
else:
ret_code, ret_data = 0, self._cache['basicinfo_hk']
elif IsFutuMarket_USStock() is True:
if self._cache['basicinfo_us'] is None:
ret_code, ret_data_cs = self._get_us_cache()
else:
ret_code, ret_data = 0, self._cache['basicinfo_us']
else:
raise ValueError
if ret_code == RET_ERROR or ret_data is None:
raise NotImplementedError
all_instruments = [Instrument(i) for i in ret_data]
return all_instruments
def __init__(self, f, market):
with open(f, 'rb') as store:
d = pickle.load(store)
self._instruments = [
Instrument(update_instrument_dict(i, market=market)) for i in d
]
def __init__(self, f):
with open(f, 'rb') as store:
d = pickle.load(store)
self._instruments = [Instrument(i) for i in d]
def get_all_instruments(self):
inst_list = [Instrument(instructment_HSI)]
return inst_list
def get_all_instruments(self):
Collection = self._db.future_1min
code_list = Collection.distinct('code')
inst_list = []
for c in code_list:
market = Collection.find_one({'code': c}, {'market': 1})['market']
# _listed_date = Collection.find_one({'code': c}, {'datetime': 1}, sort=[('datetime', pymongo.ASCENDING)])['datetime'].date()
# _maturity_date = Collection.find_one({'code': c}, {'datetime': 1}, sort=[('datetime', pymongo.DESCENDING)])['datetime'].date()
_listed_date = '0000-00-00'
_maturity_date = '0000-00-00'
underlying_symbol, contract = re.findall(r'([A-Z]+?)(L*\d+)', c)[0]
if c[-2] == 'L':
is_continuous = True
else:
is_continuous = False
if market == 47:
_p = 'Index' if c[0] == 'I' else 'Government'
else:
_p = 'Commodity'
instructment = {
'order_book_id':
c,
'symbol':
c,
'margin_rate':
FUTURE_INFO[underlying_symbol]['margin_rate'],
'abbrev_symbol':
'null' if is_continuous else c,
'round_lot':
1.0,
'listed_date':
'0000-00-00' if is_continuous else str(_listed_date),
'de_listed_date':
'0000-00-00',
'type':
'Future',
'contract_multiplier':
FUTURE_INFO[underlying_symbol]['contract_multiplier'],
'underlying_order_book_id':
'null' if underlying_symbol not in ('IF', 'IH', 'IC') else
underlying_symbol,
'underlying_symbol':
underlying_symbol,
'maturity_date':
'0000-00-00' if is_continuous else str(_maturity_date),
'settlement_method':
'CashSettlementRequired',
'product':
_p,
'exchange': {
28: 'CZCE',
29: 'DCE',
30: 'SHFE',
47: 'CFFEX'
}[market],
# 'trading_unit': '5'
}
inst_list.append(Instrument(instructment))
return inst_list